Infinite-dimensional stochastic differential equations and tail $$\sigma $$-fields
Hirofumi Osada, Hideki Tanemura
Abstract
Abstract We present general theorems solving the long-standing problem of the existence and pathwise uniqueness of strong solutions of infinite-dimensional stochastic differential equations (ISDEs) called interacting Brownian motions. These ISDEs describe the dynamics of infinitely-many Brownian particles moving in $$ {\mathbb {R}}^d $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mrow> <mml:mi>R</mml:mi> </mml:mrow> <mml:mi>d</mml:mi> </mml:msup> </mml:math> with free potential $$ \varPhi $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>Φ</mml:mi> </mml:math> and mutual interaction potential $$ \varPsi $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>Ψ</mml:mi> </mml:math> . We apply the theorems to essentially all interaction potentials of Ruelle’s class such as the Lennard-Jones 6-12 potential and Riesz potentials, and to logarithmic potentials appearing in random matrix theory. We solve ISDEs of the Ginibre interacting Brownian motion and the sine $$_{\beta }$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msub> <mml:mrow/> <mml:mi>β</mml:mi> </mml:msub> </mml:math> interacting Brownian motion with $$ \beta = 1,2,4$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>β</mml:mi> <mml:mo>=</mml:mo> <mml:mn>1</mml:mn> <mml:mo>,</mml:mo> <mml:mn>2</mml:mn> <mml:mo>,</mml:mo> <mml:mn>4</mml:mn> </mml:mrow> </mml:math> . We also use the theorems in separate papers for the Airy and Bessel interacting Brownian motions. One of the critical points for proving the general theorems is to establish a new formulation of solutions of ISDEs in terms of tail $$ \sigma $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>σ</mml:mi> </mml:math> -fields of labeled path spaces consisting of trajectories of infinitely-many particles. These formulations are equivalent to the original notions of solutions of ISDEs, and more feasible to treat in infinite dimensions.